發(fā)布時(shí)間：2018-01-31 22:12

  本文關(guān)鍵詞： 貨幣政策 股票價(jià)格 人民幣匯率 信貸分配 非對稱　出處：《復(fù)旦大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：貨幣政策股票價(jià)格傳導(dǎo)機(jī)制指貨幣政策工具變量通過改變股票資產(chǎn)價(jià)格,進(jìn)而影響居民和企業(yè)的消費(fèi)、投資決策,從而傳導(dǎo)至實(shí)體經(jīng)濟(jì)部門的過程。近年來我國股票市場發(fā)展迅速,投融資功能漸趨完善,股票在居民資產(chǎn)結(jié)構(gòu)中的比例持續(xù)增加,越來越多的企業(yè)以股票市場作為重要的直接融資渠道,這使得貨幣政策股票價(jià)格傳導(dǎo)機(jī)制在我國貨幣政策傳導(dǎo)體系中發(fā)揮著越來越重要的角色,并引起了學(xué)者們的廣泛重視。但目前國內(nèi)的多數(shù)文獻(xiàn)僅對貨幣政策股票價(jià)格傳導(dǎo)機(jī)制的某個(gè)環(huán)節(jié)進(jìn)行實(shí)證檢驗(yàn),比較缺乏系統(tǒng)性,且并未探討在信貸資源分配不均的情況下,大型企業(yè)與中小型企業(yè)在傳導(dǎo)機(jī)制中發(fā)揮的不同作用,也未考慮開放經(jīng)濟(jì)條件下人民幣匯率水平的波動對貨幣政策傳導(dǎo)效果的影響。 本文從不同貨幣政策工具對股價(jià)的影響機(jī)制以及股價(jià)波動對居民消費(fèi)和企業(yè)投資的影響途徑兩方面,對貨幣政策股票價(jià)格傳導(dǎo)機(jī)制進(jìn)行了詳盡的理論分析。同時(shí)構(gòu)建了統(tǒng)一的SVAR模型,引入了人民幣匯率指數(shù)變量,并分別選取上證50指數(shù)和深證中小板綜合指數(shù)作為大型企業(yè)和中小企業(yè)股價(jià)的代表變量,對我國貨幣政策股票價(jià)格傳導(dǎo)機(jī)制進(jìn)行了系統(tǒng)而完整的實(shí)證分析。 本文的研究發(fā)現(xiàn),總體而言我國貨幣政策通過股票價(jià)格傳導(dǎo)的機(jī)制是通暢的,各主要貨幣政策工具變量均能顯著的影響股票資產(chǎn)價(jià)格并傳導(dǎo)至實(shí)體經(jīng)濟(jì)。但是不同的貨幣政策工具對股價(jià)影響的效果并不相同,而由于產(chǎn)業(yè)分布和銀行信貸等金融資源分配的不均,大型企業(yè)與中小型企業(yè)在貨幣政策傳導(dǎo)機(jī)制中發(fā)揮的作用亦具有顯著的差異。另一方面,與銀行信貸和資產(chǎn)價(jià)格相關(guān)的貨幣政策資產(chǎn)價(jià)格傳導(dǎo)渠道在我國并不明顯,而隨著經(jīng)濟(jì)開放度的提高以及人民幣匯率制度的改革,人民幣匯率水平對貨幣政策的股票價(jià)格傳導(dǎo)機(jī)制產(chǎn)生了日益重要的影響。我們認(rèn)為央行的貨幣政策制定應(yīng)該關(guān)注股票資產(chǎn)價(jià)格,并宜選取利率水平作為貨幣政策中介目標(biāo)；同時(shí)應(yīng)采取有效措施促進(jìn)銀行貸款流向融資渠道匱乏的中小企業(yè),保障國民經(jīng)濟(jì)的健康發(fā)展。
[Abstract]:Monetary policy stock price transmission mechanism refers to the monetary policy instrument variables by changing the stock asset price, and then affect the consumption of residents and enterprises, investment decisions. In recent years, the stock market in our country has developed rapidly, the function of investment and financing has been gradually improved, and the proportion of stock in the structure of residents' assets has been increasing continuously. More and more enterprises take the stock market as the important direct financing channel, which makes the monetary policy stock price transmission mechanism play a more and more important role in the monetary policy transmission system of our country. And has caused the widespread attention of scholars. But at present most of the domestic literature only carries on the empirical test to a link of monetary policy stock price transmission mechanism, relatively lacks the systematicness. And did not discuss in the case of uneven distribution of credit resources, large enterprises and small and medium-sized enterprises in the transmission mechanism play a different role. The effect of RMB exchange rate fluctuation on the transmission effect of monetary policy is not considered. This paper discusses the influence mechanism of different monetary policy tools on stock price and the influence of stock price fluctuation on resident consumption and enterprise investment. This paper makes a detailed theoretical analysis on the transmission mechanism of monetary policy stock price. At the same time, it constructs a unified SVAR model and introduces the RMB exchange rate index variable. The Shanghai Stock Exchange 50 Index and the Shenzhen Stock Exchange Composite Index are selected as the representative variables of the stock prices of large enterprises and small and medium-sized enterprises respectively. The paper makes a systematic and complete empirical analysis on the stock price transmission mechanism of monetary policy in China. In general, the mechanism of monetary policy through the transmission of stock price is unobstructed. Each major monetary policy instrument variable can significantly affect the stock asset price and transmit to the real economy. However, different monetary policy instruments have different effects on stock price. Due to the uneven distribution of financial resources, such as industrial distribution and bank credit, the role played by large enterprises and small and medium-sized enterprises in the transmission mechanism of monetary policy is also significantly different. Monetary policy related to bank credit and asset prices the transmission channels of asset prices in China are not obvious, but with the increase of economic openness and the reform of RMB exchange rate system. The level of RMB exchange rate has an increasingly important influence on the transmission mechanism of stock price of monetary policy. We think that the central bank should pay attention to the stock asset price in monetary policy formulation. And the level of interest rate should be chosen as the intermediate target of monetary policy; At the same time, effective measures should be taken to promote the flow of bank loans to small and medium-sized enterprises with scarce financing channels, so as to ensure the healthy development of the national economy.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F822.0;F224

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